A tiny positive cash flow could thus be obtained by buying bonds yielding 6.77 percent, funding the purchase at repo rate, and paying fixed interest in a swap while receiving Libor in return. The incoming cash flow would be in effect 6.77 percent + Libor, while the outgoing flow would be repo rate + 6.94 percent. Since Libor was 20 basis points above repo rate, the net annual cash flow was thus three basis points.

Donald MacKenzie, An Engine, Not a Camera, loc. 1299